Parimutual Applications in Finance

Parimutual Applications in Finance pdf epub mobi txt 电子书 下载 2025

出版者:Palgrave Macmillan
作者:Baron, Ken/ Lange, Jeffrey
出品人:
页数:175
译者:
出版时间:2006-11
价格:$ 261.03
装帧:HRD
isbn号码:9781403939500
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Financial intermediaries supply derivatives to their customers when they can hedge the exposures from these transactions. A static hedge is typically employed by arranging an offsetting transaction with a different customer or a dynamic hedge by trading in the underlying derivatives. There is however a broad range of uncertain exposures where intermediaries tend not to offer derivatives or risk management products, as they are unable to hedge the resulting exposures. Baron and Lange suggest a parimutuel auction system adapted from the betting industry as a solution to this problem. They introduce the parimutuel mechanism and the modifications required to apply the mechanism to the capital markets. The PDCA auction and its mechanics are analyzed and finally the mathematics behind the system are described and illustrated.Includes a forward by Robert J. Shiller, the Stanley B. Resor Professor of Economics, Yale University

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